Testing for time-varying jump activity for pure jump semimartingales

DOI10.1214/16-AOS1485zbMath1371.62062MaRDI QIDQ2012936

Viktor Todorov

Publication date: 3 August 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aos/1497319695

zbMATH Keywords

jumpsstochastic volatilitycentral limit theoremhigh-frequency datapower variationnonparametric testItô semimartingalejump activity index

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Martingales with discrete parameter (60G42) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes: hypothesis testing (62M02)

Related Items (8)

Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes ⋮ Estimation of state-dependent jump activity and drift for Markovian semimartingales ⋮ On the estimation of the jump activity index in the case of random observation times ⋮ Identifying latent factors based on high-frequency data ⋮ On Bivariate Time-Varying Price Staleness ⋮ Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale ⋮ Testing against constant factor loading matrix with large panel high-frequency data ⋮ Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale

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